Value-weighted price return index for plantation sector of Colombo Stock Exchange of Sri Lanka

B.T. Katangodage and A.W. Wijeratne

International Journal of Agricultural Resources, Governance and Ecology, 2016, vol. 12, issue 1, 27-52

Abstract: Plantation sector plays a vital role in Colombo Stock Exchange (CSE) in Sri Lanka. This study constructed a Plantation Sector Index (PSI) for comparing the performance of the sector during war and post-war periods. Results indicated a significant decline in PSI during war period and a growth in post-war period. Further, the comparison of PSI with All Share Price Index (ASPI) of CSE showed PSI's defensive stock behaviour during the two periods. Finally, the study employed best-fitted ARIMA (1,1,0) model and seasonal ARIMA (0,1,1) × (0,1,1)30 model of post-war period to forecast PSI compared to Holt-Winters method. Holt-Winters method provided a significantly best prediction for PSI during post-war period with the level (α = 0.2), trend (β = 0.2) and the seasonal (γ = 0.2) components under 95% confidence interval. Therefore, PSI would be recommended for financial analyses, and investment decision making in plantation sector.

Keywords: CSE; Colombo Stock Exchange; plantation sector index; ASPI; all share price index; ARIMA; autoregressive integrated moving average; Holt-Winters method; value weighting; price returns index; Sri Lanka; financial analysis; investment decision making; stock markets. (search for similar items in EconPapers)
Date: 2016
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